smmdriftcalculator.hpp

Langue: en

Autres versions - même langue

Version: 154527 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp - Drift computation for coterminal-swap market model.

SYNOPSIS


#include <ql/math/matrix.hpp>
#include <vector>

Classes


class SMMDriftCalculator
Drift computation for coterminal swap market models.

Detailed Description

Drift computation for coterminal-swap market model.

Author

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